Quant Insight’s Risk Indicator just hit +3.2σ. Welcome to the club.
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MFERM’s total risk forecast for SPY — expressed as a rolling 50-day z-score — surged to +3.24 by Friday close.
This puts us in an exclusive club. Since 2017, every breach of the upper band has coincided with a significant market event:
Feb 2018 (+6.3σ) — Volmageddon
Mar 2020 (+5.0σ) — COVID crash
Mar 2021 (+3.2σ) — Rates tantrum
Apr 2024 (+3.6σ) — Tariff tremors
Aug 2024 (+4.6σ) — Yen carry unwind / VIX blow-up
Apr 2025 (+5.0σ) — Liberation Day
Mar 2026 (+3.2σ) — Iran Crisis
Peak macro fear = peak opportunity. The question is whether +3.2σ is the peak, or still in the foothills. At +3.2σ today, we’re roughly 70% of the way to the average peak of +4.6σ.
Continue reading our analysis by downloading the PDF below
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